Strong convergence and stability of the semi-tamed and tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition

zbMATH Open1476.65012arXiv1510.04729MaRDI QIDQ5215840FDOQ5215840

Jean Daniel Mukam, Antoine Tambue

Publication date: 13 February 2020

Abstract: We consider the explicit numerical approximations of stochastic differential equations (SDEs) driven by Brownian process and Poisson jump. It is well known that under non-global Lipschitz condition, Euler Explicit method fails to converge strongly to the exact solution of such SDEs without jumps, while implicit Euler method converges but requires much computational efforts. We investigate the strong convergence, the linear and nonlinear exponential stabilities of tamed Euler and semi-tamed methods for stochastic differential equation driven by Brownian process and Poisson jumps, both in compensated and non compensated forms. We prove that under non-global Lipschitz condition and superlinearly growing drift term, these schemes converge strongly with the standard one-half order. Numerical simulations to substain the theoretical results are provided.

Full work available at URL: https://arxiv.org/abs/1510.04729

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zbMATH Keywords

stochastic differential equationexponential stabilitystrong convergencelinear stabilityjump processesone-sided Lipschitz

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• On numerical methods to second-order singular initial value problems with additive white noise
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients

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